Method and apparatus for order entry in an electronic trading system

ABSTRACT

Orders received by an electronic trading system are processed in batches based on the instrument to which an order relates. An incoming order is assigned to a queue of a queue set that makes up the batch according to a random process. Where orders are received from related trading parties they are assigned to the same queue set according to their time of receipt. The batch has a random duration within defined minimum and maximum durations and at the end of the batch, the orders held in the queues are transferred to a matching thread of the trading system sequentially with one order being removed from each queue and a number of passes of the queues completed until orders have been removed.

CROSS REFERENCE TO RELATED APPLICATION

The present application claims priority to Provisional Application61/875,263 filed Sep. 9, 2013.

FIELD OF THE INVENTION

This invention relates to electronic trading systems. It is particularlyconcerned with the entry of orders placed by traders or brokers intosuch trading systems.

BACKGROUND TO THE INVENTION

Over the last twenty years, electronic trading systems have becomecommonplace in the financial markets for trading a wide variety ofinstruments such as equities, foreign exchange (FX) products,commodities and derivatives as well as fixed income products and manyother financial instruments.

Many types of electronic trading systems exist, using different tradingmodels. Examples include RFQ (Request for Quote) based systems,anonymous matching systems and auction based systems. An example ofanonymous matching system is disclosed in U.S. Pat. No. 6,996,541 Togheret al, the content of which is incorporated herein by reference. Togherdescribes a distributed matching system in which traders connected tothe system through a communications network submit orders into thesystem to buy or sell financial instruments. Maker orders are displayedto other traders on the system who can respond to those orders withtheir own orders which will be matched with the visible maker orders inaccordance with matching rules to execute a trade. Typically, the systemwill receive maker orders from all parties and construct an order bookbased, for example, an order price and time of order receipt. For easeof interpretation only the best order or best few orders will bedisplayed to other traders on their screens and counterparty tradersrespond to the best orders they see.

Many trading systems are based on a centralised host computer whichmatches incoming maker and taker orders, maintains order books andadministers credit limits. The host computer may also be responsible fordistributing market related data, generating deal tickets after a tradehas been executed and maintaining records of activity on the system.Some trading systems such as that described in Togher et al mentionedabove, operate as a distributed model in which the matching engine issplit into a number of separate matching engines. This approach isattractive in a global trading system where latency issues can affectthe fairness of access to a centralised system from different parts ofthe world. The Togher distributed system, as implemented by ICAP Plc inits EBS trading platform, has a number of matching engines each locatedgeographically in a main financial market. As these markets operate atdifferent times of the day, many of the trades will be between partieswho are operating in the same geographical region and the matching maybe performed locally at the regional matching engine. Other trades mayinvolve two separate matching engines in two separate geographicalregions. An example would be a trade conducted in the afternoon inLondon between a London based trader and a New York based trader whereit is the morning and the markets are open.

Latency issues are present in any system which connects parties overlarge distances. The distributed architecture goes some way toaddressing latency issues. Fairness issues are of concern anddistributed systems provide improved fairness compared to centralisedsystems. However, the rise of algorithmic trading has highlightedlatency issues. Algorithmic trading, also known as High FrequencyTrading (HFT), replaces human traders with electronic platforms whichenter orders automatically in accordance with a trading algorithm. Theorders are generated in response to received market data such as theprice or size of orders in the market. In a distributed system such asthe EBS system, market views are sent to each trading entity, such as abank's trading floor, periodically giving that trading entity an updateof the market book. These market views are distributed in turn to eachfloor giving the first trading floors that receive market views a slightadvantage over floors that receive the views later, and in particularover the last trading floor to receive the market update. Latency issuescaused by the relative proximity of the trading floors to the computersdistributing the market views can exacerbate this advantage. Thisproblem is dealt with, to an extent, by the distribution method andapparatus disclosed in U.S. Pat. No. 8,446,801 (Howorka et al) thecontents of which are incorporated by reference. Howorka introduces arandom component into the order in which market updates are distributedso that the time at which a given trading floor receives market datarelative to other trading floors gradually changes over time. Thisapproach goes some way to evening out unfairness over time.

Thus, known electronic trading systems have utilised some measures toaddress latency issues and to address unfairness in access to thesystem. However, they are unable to deal with discrepancies in the speedat which parties trading on the system can enter orders into the system.This is an issue which is largely out of the control of the tradingsystem operator. In view of the speed at which many financial marketsoperate, there is a strong motivation for trading entities such as hedgefunds and banks to invest heavily in hardware, software andcommunications technology that will ensure their orders reach thetrading system as quickly as possible. This approach requires heavyfinancial investment on behalf of the trading entities and introduces astrong element of unfairness in that it gives an advantage to the largerentities which are more able to make the investment required. Theproblem can be less severe on systems that operate on a privatecommunications network but worse on systems that use a public networksuch as the Internet for communications between the trading entities andthe trading system.

U.S. Pat. No. 7,461,026 assigned to Trading Technologies, Inc attemptsto address this problem. Market data is sent from a host system toclient devices through synchronised local communication services so thatdata can be displayed simultaneously or near simultaneously at eachclient device. Transaction data sent from the client devices to the hostsystem is also received via the local communication servers and theordering of that transaction data is based, at least in part, on whenthe local communication servers received the transaction data from theclient devices. The transaction data may include order information andthe transaction messages may be prioritised by determining a travel timefrom a first network device to the host exchange and then determines asimilar travel time for a second device. When a transaction message issent from a first client device the receipt time is determined.Similarly, the receipt time of messages from the second device ismeasured and the host system can then use the known travel times for thetwo devices to prioritise the first and second transaction messages atthe host exchange.

While this approach goes someway to addressing the issue, it is complexand relies on a fore-knowledge of travel times and a constancy of traveltime for repeated transactions from the same device. The approach maynot be able to cope well with orders submitted from mobile devices suchas tablets or phones which are beginning to be used in the markets astravel time will vary depending on the location of the device.

There is, therefore, a need for an improved approach to the problem offairness in order entry into electronic trading systems.

SUMMARY OF THE INVENTION

One aspect of the invention provides a computerised method forsubmission of orders to an electronic trading system for matching.Electronic order messages for trading an instrument are received at aserver of said electronic trading system from parties trading on theelectronic trading system. A message batch is initiated, the messagebatch having a defined duration. Received electronic order messages arestored in a storage device of the server such as a memory. The ordersare stored in said storage device in an order unrelated to the order inwhich they were received at the electronic trading system. After expiryof the defined duration of the batch, the stored order messages aresubmitted to a matching engine of the electronic trading system in theorder in which they are stored in the storage device.

By submitting stored order messages to the matching engine in an orderunrelated to the order in which they were received at the electronictrading system, the importance of the transmission path between theparties and the electronic trading system is reduced. This in turnde-emphasises the need for highly sophisticated systems for ensuring thefastest possible order submission from the trading floors at which theparties on the system on reside to the electronic trading system. Thus,fairness of access to the system is increased by increasing thelikelihood that smaller participants will have their orders matched evenif they were submitted using less sophisticated systems than orderssubmitted by larger institutions.

In one embodiment of the invention, on receipt of an order message, theorigin of the order message is determined. A determination is madewhether another order message from the same origin is stored in thestorage device for the batch and, if another such message is stored, themessage is queued behind the earlier stored message, whereby on expiryof the batch duration, the earlier stored message from the same originis sent for matching ahead of the later received message from the sameorigin.

The origin of the message may comprise a group of related trading floorsand the origin of the earlier and later received messages may becompared to determine whether they are from the same group of tradingfloors.

In one embodiment of the invention, the order in which the ordermessages are stored in the storage device is randomised.

In one embodiment of the invention, the duration of the batch israndomised within a predetermined maximum and minimum length.

In one embodiment of the invention, the electronic trading system tradesa plurality of instruments and a message batch includes order messagesrelating to the same instrument.

The step of initiating a message batch may comprise examining a receivedelectronic order message to determine to which instrument it relates andassigning the message to an appropriate batch that relates to thedetermined instrument.

The first aspect of the invention also provides a computerised tradingsystem for matching orders submitted by trading parties. Thecomputerised trading system comprises an order entry system having aserver for receiving from parties trading on the electronic tradingsystem, electronic order messages for trading an instrument. The serveris configured to initiate a message batch having a defined duration. Theserver comprises a storage area or memory for storing the receivedelectronic order messages. The storage area stores the electronic ordermessages in an order unrelated to the order in which they were receivedat the server. The server is further configured to submit the storedorder messages, after expiry of the defined duration, to a matchingengine forming part of the electronic trading system, in the order inwhich they are stored in the storage device.

The first aspect of the invention also provides a non-transitorytangible computer readable medium comprising computer-executableinstructions that, when executed on a computerised trading system, causethe computerised trading system to initiate at a server computer of thecomputerised trading system a batch having a defined duration, the batchcomprising a set of queues; to receive, at the server computer, fromparties trading on the electronic trading system, electronic ordermessages for trading an instrument, to assign the received message to arandom queue within the set of queues; and at the end of the definedduration of the batch, to transfer messages sequentially from each ofthe set of queues to a matching function of the electronic tradingsystem.

A second aspect of the invention resides in a computerised method forsubmission of orders to an electronic trading system for matching. Abatch having a defined duration is initiated at a server computer. Thebatch comprises a set of queues. At the server, electronic ordermessages for trading an instrument are received from one or more partiestrading on the electronic trading system. Each received message isassigned to a random queue within the set of queues. At the end of thedefined duration of the batch, messages are transferred sequentiallyfrom each of the set of queues to a matching function of the electronictrading system.

In one embodiment, the received order messages include an indication ofthe identity of the originating party. A determination is made at theserver of the virtual floor code of the party submitting the receivedmessage, the virtual floor code being an identity of a group of relatedparties trading on the system.

The virtual floor code of the received message may be compared with thevirtual floor codes of any messages already assigned to the queues ofthe batch. If the virtual floor codes match, the new message is assignedto the same queue as the earlier message with the same virtual floorcode.

The new message may be assigned to the same queue as the earlier messagehaving the same virtual floor code at a position behind the earliermessage such that the earlier message is sent to the matching functionbefore the new message.

In one embodiment, the step of assigning the received message to arandom queue comprises selecting a random queue, determining whetherthat queue has a message already assigned to it and, if it has,assigning the message to the next empty queue. In the absence of anyempty queues, the message is preferably assigned to the originalrandomly assigned queue.

Preferably, message information may be attached to the message after ithas been assigned to a queue. The message information may include atleast one of a batch number, message time of receipt, message numberwithin the batch and assigned queue number.

In one embodiment of this aspect of the invention, if the message is thefirst message received in a batch, a timer may be initiated having arandom duration between defined minimum and maximum durations, therandom duration being said defined duration of the batch.

In one embodiment, the steps of receiving, initiating and storing areperformed by a routing thread of said server computer. The serverfurther has a matching thread for performing the submitting step, thematching thread cycling through the queues sequentially to remove andprocess messages from the queues one at a time. Preferably, the matchingthread may add the time at which a message was moved from the batch tothe message.

The second aspect of the invention also provides a computerised tradingsystem for submission of order to trade instruments for matching. Thesystem comprises an order entry system including a server computer whichis configured to initiate a batch having a defined duration. The batchcomprises a plurality of queues and relates to an instrument of aplurality of instruments traded on the electronic trading system. Theserver is configured to receive, from parties trading on the electronictrading system, electronic order messages for trading the plurality ofinstruments. The server is configured to assign a received message tothe batch to which the instrument relates and to a random queue withinthe set of queues forming the assigned batch. The server is furtherconfigured to transfer messages, at the end of the defined duration ofthe batch, sequentially from each queue of the set of queues to amatching function of the electronic trading system.

The second aspect of the invention also provides a non-transitorytangible computer-readable medium comprising computer-executableinstructions that when executed on an electronic trading system causethe trading system to receive at a server of the electronic tradingsystem, from parties trading on the system, electronic order messagesfor trading an instrument; to initiate a message batch having a definedduration and; to store electronic order messages in a storage devicesuch as a memory of the server. The orders are stored in the storagedevice in an order unrelated to the order in which they were received atthe electronic trading system. After expiry of the defined duration ofthe batch, the stored order messages are submitted to a matching engineof the electronic trading system in the order in which they are storedon the storage device.

BRIEF DESCRIPTION OF THE DRAWINGS

Embodiments of the invention will now be described, by way of exampleonly, and with reference to the accompanying drawings, in which:

FIG. 1 illustrates, schematically, an example of a known distributedelectronic trading system;

FIGS. 2 a and 2 b illustrate the arbitrator network in the system ofFIG. 1;

FIG. 3 illustrates the Real Time View Server;

FIG. 4 is a screen shot illustrating the user interface presented to amanual trader on a trader workstation;

FIG. 5 illustrates communications between manual and automated traderand the system;

FIG. 6 shows how deal tickets are handled by the system;

FIG. 7 shows an overview of the communications network linkingcomponents of the system;

FIGS. 8 to 11 are schematic illustrations showing an embodiment of thepresent invention and illustrating the stages in the receipt of a batchof orders and their communication to the matching engine; and

FIG. 12 is a flow chart of the steps of an embodiment of the presentinvention.

DESCRIPTION OF PREFERRED EMBODIMENTS

In the embodiment illustrated in the Figures, the trading system is anelectronic brokerage system for facilitating the buying and selling offinancial instruments such as foreign exchange (FX) spot products orprecious metals. Although the present invention is described in thecontext of FX Spot and metals trading the invention is not linked to thetrading of any particular financial instrument and is applicable totrading of any financial instrument including, but not limited to,foreign exchange products, precious metals, equities, derivatives,commodities, cash instruments, securities, long and short term debt andrepurchase agreements. Moreover, the invention is not limited to thetrading of financial or non-financial products and is applicable to anysystem in which the relative time of access to a computer system isimportant.

The system to be described is an anonymous distributed trading system.Again, the invention is not limited to any particular systemarchitecture and may be used with a host based system such as that ofU.S. Pat. No. 7,461,026 or any other system architecture. An anonymoussystem is one in which the identity of the parties to a trade is notknown to the participants until a trade has been agreed. The inventionmay also be used in systems which are not anonymous. In the Toghersystem referred to above, and the system described herein, firm ordersare submitted for execution. These orders will be dealt unless the orderfails to meet one of a number of predetermined criteria such as theavailability of sufficient credit for the trade at one of the potentialparties to the trader. However, the invention is not limited to systemswhich submit firm orders for execution and may be used with any otherorder entry system including systems which operate on the basis of RFQsor in which matches are negotiated between parties following an initialidentification of a possible match.

Referring to FIG. 1, the trading system illustrated is similar to thatdescribed in U.S. Pat. No. 6,996,541 referred to above and incorporatedherein by reference. The system 100 may be broken into a four tierhierarchy with a network of arbitrators 110 at the top of the hierarchyand forming the core 105 of the system. The arbitrators are servers orclusters of servers and function as the matching engines and areresponsible of maintaining order books and matching bids, offers, hitsand takes to execute trades or deals. For ease of understanding, FIG. 1shows a single component in each tier of the hierarchy. In practicethere are several arbitrators as will be described and then multiplecomponents at each tier connecting to each of the components at the tierabove. The matching engines, or arbitrators, have a global view of themarket and facilitate global liquidity. The core tier also supportscentralised transactional persistence and analysis and includes a marketrate feed element MRF 120 which can send market data to subscribers.

The second tier 125 comprises a plurality of brokers 130 which form aregional distribution site. The brokers manage interactions between thearbitrators and trader workstations. Each broker represents a group oftrading floors to the arbitrators and each broker has a database whichpersists the floor-specific configuration settings and deal history.These configurations will include credit data comprising the creditlimits extended by a given trading floor to all other possiblecounterparty trading floors. The credit limits include a yes/no matrixof credit which is used to screen market information received from thearbitrators. As a result, the view of the market that is sent to eachtrading floor is individually tailored to show only those counterpartyorders from parties to whom the trading party has extended credit andvice versa. Brokers are typically located in major cities, some of whichwill also have arbitrators.

The third tier 135 is the bank access floor which comprises traderworkstations 140. Trader workstations are used by manual traders tocommunicate with the arbitrators via their dedicated broker. Theworkstation comprises a standard PC or other computer with a displaythat shows the trader his or her trading floor's view of the market andallows the trader to trade by submitting visible (bid or offer) orinvisible (hit or take) orders into the market using an input devicesuch as a keyboard or a mouse. Typically, traders will use a dedicatedtrading keypad which is designed for swift and efficient order entry.Also at the access site level is an AI (Automated Interface) server 150which is a trading floor based server that supports automated trading byexposing an XML interface to the trading system. The workstations 140and the AI server 150 both communicate directly with their dedicatedbroker and also with RTV (Real Time View) servers 160 which also resideon a bank or institution trading floor. The RTV servers manage efficientfloor-wide data caching and aggregation and communicate with a deal feedserver 170 to deliver completed deal information in the form of dealtickets. The deal feed server 170 is responsible for communicating thatinformation to banks' and institutions' deal processing systems forsettlement of trades the bank or institution has entered into.

The fourth tier 165 of the system is the customer site. Physically, thistier may be at the same location as the access floor of tier 3, butarchitecturally it exists outside the trading system firewall.Components in this include customer pricing engines, risk managementhandlers, STP (straight through processing) processors, market dataclients and model trading clients. In the figure model trading clientsare shown as AI client 180 which communicates via the AI server 150 toplace orders generated by the customer's trading algorithms into themarket. The bank STP system 190 receives trade ticket data from the dealfeed servers 170 to enable reconciliation of the institution's tradingactivities as the system and settlement of its trading liabilities. Themarket view client 200 communicates with the market rate feed 120 toprovide market data, such as benchmarks and historic rate information tocustomers.

FIGS. 2 a and 2 b illustrate the arbitrator network. In this example,there are three arbitrators linked to one another and located indifferent trading regions with arbitrator 110(a) in London, arbitrator110(b) in New York and arbitrator 110(c) in Tokyo. Of course a systemcould use a different number of arbitrotors. Although not shown, eacharbitrator has a stand-by back-up arbitrator in case of failure of themain arbitrator. As will be appreciated from FIG. 1, different tradingentities will submit orders via their respective brokers to differentarbitrators depending on their geographical location. The three activearbitrators are constantly synchronised so that orders submitted in asingle region are near-instantly available globally. This architectureachieves the performance advantages of a local market while maintainingglobal liquidity. As well as maintaining the global order book and thecredit books for its region, the arbitrator proposes deals by matchingcredit compatible invisible orders (hits and takes) with visible quotes(bids and offers). The arbitrator also distributes market data to otherarbitrators and downstream components such as brokers.

Transactions from each arbitrator are synchronously persisted inredundant log files. As illustrated in FIG. 2( b) each of thearbitrators 110 is connected to a plurality of brokers 130(i) to 130(n)and also to a log manager server 210 and a persistent storage device220. This guarantees that no transactional data is ever lost.Transactional data is also passed to the market rate feed system 120 inreal time for analysis and archiving.

The brokers 130 which sit between the trading floors and the arbitratorsare each an electronic agent which represents a trading floor to thetrading system. Trading floor configuration settings, includingentitlements, credit limits and settlement instructions are persisted ina database which is associated with each broker. These settings may beadjusted by a trading floor administrator (TFA) who has rights to setvariables such as credit limits on behalf of a trading floor. A tradingfloor consists of one or more manual or automated traders or a mixtureof both, although as seen from FIG. 1, the automated terminals accessthe broker via the AI server 150. The brokers construct market views foreach trading floor based on stored credit information and disseminatethese market views and news to the trading floors. The brokers alsomanage the life cycle of orders and deals for each of their floors.During the trade negotiation process, when a match has been made by thearbitrator, the brokers handle the final credit checking process whichwill determine whether a deal can proceed and, if so, whether the amountof the deal needs to be reduced if there is not sufficient credit forthe entire amount of the deal. The brokers also store and exchangesettlement instructions for their floors and for counterparty floors.Thus, the brokers perform the roles of access control, market viewcalculation and distribution, order/deal lifecycle management, creditmanagement, news distribution, enforcement of system dealing rules andtrading floor configuration management.

A single broker represents a number of trading floors in itsgeographical proximity. Some brokers are located at the same places asarbitrators, although this need not be the case, as well and in othercentres which have high concentrations of trading floors, such as Zurichand Singapore. As with the arbitrators, each has a mirror which providesfor disaster recovery.

The real time view server 160 is illustrated in FIG. 3 and existslocally on a bank floor. Thus, each trading floor on the system has areal time view server 160. The RTV conserves network traffic andenhances the speed and scalability of the system. The server is tradingfloor based and performs floor wide services for the trading entitiesincluding both the trader workstations and the Al servers on its floor.These servers include data aggregation, caching and distribution. TheRTV is also responsible for delivery of completed deal information tothe deal feed server 170 on its floor.

The workstations used by manual traders provide traders with anintuitive graphical user interface such as that illustrated in FIG. 4.This allows a trader to tailor the trading environment to theirparticular style of trading and instruments the trade. The essence ofthe display is a series of price panels 300 which illustrate the marketin a series of instruments available to the trader. The trader canselect from a plurality of pages of panels via a page tab 302 and canselect which panels appear on which page. The price panels each show thecurrent system-wide best price for both bid and offer as well as thebest dealable price, which is the best price that is available to thattrader to deal. This price may not be as good as the system best priceif, for example, the trader's institution has not extended credit to theowner of the best price in the system.

At the bottom right hand side of the display is a quote panel 304 whichenables traders to submit bids and offers. The quote panel is linked tothe active price panel 300(a) which in this case is the USD/JPY currencypair. A trader can click on any other price panels to make that thecurrent active panel in which case the quote panel will display theparameters of that currency pair and enable quote entry for the marketin that currency pair. At the upper right hand side of the display is arates panel 306 which lists the best rates that are available on thesystem for all available instruments irrespective of whether the traderhas credit to deal those prices. Above the trade panels are two creditwarning panels 308 which show warning messages to traders indicatingthat credit levels are reaching predetermined levels with certaincounterparties or groups of counterparties. The colour of the warningsmay vary according to the severity of the warning. A red message may,for example, indicate the imminent expiry of credit. Underneath therates panel 306 is a trader deals panel 308 which shows all deals thatthe trader has executed. This is the trader's blotter and provides aconvenient view of the trader's position enabling easy trading.

Beneath the trader deals panel 308 is a system deals panel 310. Thispanel shows all deals that have been successfully executed on the systemin selected currency pairs. The panel only identifies the currency pair,the time of the deal, the rate and whether the deal was paid or given.It does not identify the parties to the deals. In contrast, the traderdeals panel additionally shows the amount of a deal and the four letterfloor code of the counterparty.

Underneath the active panels described is a news panel 320 whichdisplays worldwide financial events that may be of interest to thetrader and affect their trading strategy.

In addition to providing an interface between traders and the tradingsystem, the trader workstation provides validation of orders input bytraders, data management and aggregation, quote interrupt managementenabling traders to withdraw quotes entered into the market before theyare dealt, trader profile customisation and printing of deal tickets.

FIG. 5 illustrates the automated trading interface and shows howcustomer trading applications or AI clients 180 communicate with thetrading system via a floor based AI server which in turn communicateswith that floors assigned broker. The AI server 150 provides for directintegration between a customer's trading engine and the system and maybe used to run mathematical models, arbitrage models or risk managementmodels.

Thus, the AI server intermediates between the AI client and the tradingsystem. Architecturally, the server may be similar to the traderworkstation except that the AI server translates from an XML or similarmessaging protocol to the system protocol, whereas the traderworkstation intermediates between a GUI and the system trading messages.The AI server, similar to the trader workstation, also performs thetasks of user authentication and input validation. XML messages arevalidated both for conformance to the XML protocol and for compliancewith system dealing rules. Moreover, a throttle may be included torestrict the number of transactions that may be imitated by a singleautomated client to prevent the system becoming overloaded.

The deal feed component 170 is illustrated in FIG. 6 and deliversautomatically post-deal information to the client's internal systems forposition keeping, risk management and trade settlement. Deal tickets maybe produced in one of a number of industry standards at the selection ofthe trading floor administrator. These formats include Reuters TOF(Ticket Output Feed Format) and EBS ASI (Automated System Interface).Deal tickets may also be printed locally. The deal feed arrangement isshown in FIG. 6 which shows the deal feed server 170 on each tradingfloor attached to a printer 172 and at deal feed database 174 as well asthe customer STP 190. The deal feed server receives deal informationfrom the Real Time View component RTV 160 which in turn receives dealinformation from the trader or AI workstation 140 or 180. The deal feedserver resides on a bank's trading floor to minimise post-trade latencyto the customer STP system. A dotted line 162 is shown between RTV 160and the broker 130 indicating a deal recovery protocol between the RTVand the broker which can be activated automatically if there is acomponent disconnect in one of the components that participates inticket delivery. The deal feed repository 174 is a database which storestickets and supports deal query and ticket recovery in case of an outagein the customer's STP application.

At the core of the system 105, a market rate feed 120 receives datadirectly from an arbitrator and calculates various market data from thereal-time data feed. This data is then distributed to market dataclients 200. The market data may include a spot market data feed, spotprices for the currency pairs traded on the system and historical marketdata.

FIG. 7 shows the core system network with the arbitrators and theirassociated brokers interconnected by four T1 circuits. A T1 circuit isone which has a maximum data transmission rate of 1.544 megabits persecond. Connections between arbitrators and each remote broker is via adistribution network using a pair of T3 or E3 access circuits dependingon where the components are located. T3 circuits have a maximum datatransmission rate of 44.766 Mbps and are suited to long distance datatransmission. An E3 circuit is a European equivalent which is used incountries other than the USA, Japan and Singapore.

Connections between brokers and broker workstations is either via a T1or E1 circuit based on location or, for older terminals, via a 56 or 64kb circuit.

In one physical implementation the system comprises a hierarchicaldistributed network of components interconnected over a high speednetwork. In one embodiment, this network is a proprietary network. Thearbitrators, which host the matching engines and distribute the orderbooks may be HP Itanium Servers provided by Hewlett-Packard Companyrunning an Open VMS operating system. The Broker computers 130, whichcomprise regional distribution sites may be implemented as IBM 3550 M4servers using a Linux Operating System. At the access sites, the AiServers 150 are typically IBM 3550 M1/2 servers operating on a Linuxplatform and the trader workstations are any convenient PC such as aDell Inc, Hewlett-Packard Company CPU running on operating system suchas Windows® provided by Microsoft, Inc.

In the past, orders submitted by traders, either manual or automated,are processed by the matching engine in the arbitrator on a price/timepriority. That is, in determining in which order to match, each of thearbitrators prioritises those with the best price and then, at thatprice, matches on the basis or the time at which they were received. Ithas been recognised the price time priority can lead to an onus ontrading parties to invest heavily in high performance technology toensure that their orders stand the best chance of being executed. Smallor even microsecond improvements in order delivery time can result inthe difference between a match or a missed trade. As a result, there hasbeen a tendency for participating institutions to engage in an arms raceof incremental investment as they see it as essential to succeed on thesystem. We have appreciated that it would be desirable to eliminate theneed for high cost order entry mechanisms and to ensure that fairness ofaccess to the system can be achieved by all participants.

FIGS. 8 to 11 illustrate the way in which the handling of incomingorders is changed to improve fairness. The figures illustrate how ordersare received from the brokers and processed by each of the arbitrators.In essence, incoming orders are batched and then submitted to thearbitrator for matching in a randomised order. The arbitrator defines abatch window, typically of a few milliseconds and preferably less than10 ms and still more preferably 1 to 3 ms. This window size isconfigurable by the system administrator. Any order message arrivingduring this interval is stored in a buffer memory at the arbitratoruntil the window expires. Incoming orders are randomised so that theorder in which they are read out of the buffer is different from theorder in which they were entered into the system. In this way, the firstorder received is not necessarily the first that is read out and passedto the arbitrator for matching. Thus, as all incoming orders are delayedfor a period of time, there is no longer a premium in ultrafast responseand order entry. As mentioned above, although described in realtion toan arbitrator based system, the embodiments of FIGS. 8 to 11 may be usedfor order entry in any type of trading system.

It is presently preferred to randomise the orders as they are receivedso that they are stored in a random order. Alternatively, the orderscould be stored and then read out in a random order, but this wouldincrease the processing overhead and increase latency.

The process is explained in more detail in FIGS. 8 to 11. At step 1, arandom batch window is selected. In this example it is between 1 and 3ms although this is configurable. Alternatively, the window could have afixed duration. In FIGS. 8 to 11, the progress of the batch window isindicated by bar 200.

In step 2, order messages are received from participating banks orinstitutions. An exemplary message is shown at 210. This message is anorder to buy or sell at a stated price and may be for a stated amount ora default amount. The order is allocated to one of 1 to n rows or queuesin the buffer where N is preferably a prime number. The determination ofthe row number is performed by a random or pseudo-random process by thearbitrator. FIG. 9 shows how 14 bank messages, or orders, have alreadybeen allocated to different queues or rows. It will be noted thatseveral slots have multiple orders from the same bank. These may comefrom the same or a different trading floor of an institution in the sameregion, that is the region that inputs orders to the same arbitrator.Orders from the same institution are placed in a queue in the same rowso that no institution can gain an advantage or impact others. Thus, inFIG. 9, the orders in each of rows 1, 2, 8, 10 and 23 are from the sameinstitution but not necessarily the same trading floor within the sameinstitution.

FIG. 10 shows the process of the end of the batch time. There are nowseven rows with orders and rows 1, 2, 8, 10 and 23 have more than oneorder queued from the same institution. The orders in a given row willnot necessarily be from the same institutions as the distribution israndom, but once a first order has been assigned to a row, all furtherorders from that institution will be assigned to the same row. Asexplained in more detail below, it is preferred to assign a freshmessage from a new institution to a fresh row but this may not bepossible if all rows are occupied. The arbitrator will look at the fourletter bank code that forms part of the order and identify the origin ofthe order. It will then compare that bank code with a record of otherbank codes that have been received in that batch window. If it finds amatch, it will look up the row number for that bank code for that windowand assign the later order to the same row. The manner in which this isdone, so that related codes can be identified, is explained below. Thetrading floors of a bank may share the same bank code, known as avirtual floor code even though their actual floor codes are different.This enables the system to assign orders from different trading floorsof the same trading institution to the same row. An example, of this isshown at row 10 where the different shading represents orders from twodifferent trading floors of the same institution

FIG. 11 shows how, at the end of the batch window, all orders receivedare unloaded and passed to the arbitrator for matching. The orders areunloaded in row order, for example, starting with row 1, although thisneed not be the case. The system unloads the first order from each row,stepping through the rows in sequence, followed by the second order fromeach row and so on until all rows have been emptied.

It will be appreciated that instead of randomising the rows at entry,orders could be stored in order of receipt and the output order thenrandomised, although as mentioned above this is not preferred.

It will be appreciated that once orders have been unloaded at step 4, anew window is opened for new orders so that the process is continuouswith a new order window opening as the previous one closes.

The embodiment described has not differentiated between order types orinstrument types. However, a trading system such as the EBS Spot FXSystem trades many different instruments, in the case of the EBSplatform, many currency pairs, non-deliverable forwards and preciousmetals. The batch windows may be established for each instrument tradedon the system or a batch window may be established for multipleinstruments. For example, an arbitrator may operate on continuous batchprocess for USD:EUR trades and separate and parallel batch processes foreach and every other instrument traded on the system.

As explained above, most trades originate from parties attached to thesame arbitrator due to the timing of global markets. The batchingprocess applies to all orders that are received at a given arbitratorand is run separately at each arbitrator. However, it will be understoodthat the batch approach is not confined to distributed trading systemssuch as the EBS system, but may be used on any system, whethercentralised or distributed and where the order submission route is via apublic network such as the Internet or a private communications network.

FIG. 13 is a flow chart showing the steps performed by the arbitrator.In one preferred embodiment, the arbitrator uses virtual deal codes toidentify trading floor as lined to the same institution. Virtual dealcodes are described in U.S. Pat. No. 7,660,760, the contents of whichare incorporated herein by reference. A virtual deal code represents agroup of real trading deal codes for trading floors of an institution.Thus, an institution XYZ that has trading floors 1XYZ, 2XYZ and 3XYZ maybe represented by the virtual code XYZA, when an order message isreceived from one of these real floors, the arbitrator recognises it asbelonging to the XYZA virtual code and ensures that it is assigned tothe same slot as messages from other floors having the same virtualcode. FIG. 13 shows the steps performed by a routing thread of thearbitrator that is responsible for entry of order messages received frombrokers into the arbitrator for matching by a matching thread.

The arbitrators each create a new queue set for each currency pair orother instrument that can be traded on the system. The example of FIGS.8 to 11 is one queue set formed for order entry of one instrument, forexample a currency pair, over one batch window. A routing threadinitiates each queue set at 400 by allocating the initial batch. When amessage is received at 402, the routing thread at 404 looks up theinstrument associated with the message to determine in which queue setto place the message. If the queue set has been disabled, that is thebatch interval has been set to zero, the message is queued directly tothe arbitrator matching thread. This example shows the steps only for asingle instrument for ease of understanding.

At 406, the routing thread then looks up the floor code submitting themessage to determine its virtual deal code. The floor identifier, beingthe trading floor from which the message was sent, is a part of themessage received and the arbitrator includes a look-up table in a memoryof the relationship between actual floor codes and virtual deal codes.

The routing thread at 408 then locates control data for the virtualfloor and queue set to determine at 410 if any messages have beenreceived from this virtual deal code for the batch. If not, the routingthread at 412 chooses a random queue number within the queue set andsaves it to be used for future messages from that virtual deal code.

The thread then determines at 414 whether the chosen queue is already inuse and is holding any messages. If the randomly chosen queue is alreadyin use with another deal code, the routing thread at 416 looks for anempty queue, starting at the next queue sequentially and cycling throughthe available queues. If the thread determines at 418 that no emptyqueue exists it will use, at 420 the initially chosen queue, thus, agiven queue number may be used to queue messages from more than onevirtual deal code.

At step 422 the routing thread captures the time that the message wasreceived, the message number within the batch, the batch serial numberand the queue number and attaches this information to the message. Therouting thread then, at step 424 inserts the message at the tail of theselected queue so that it is the last message in the queue.

If it is determined at step 426 that the message is the first sent tothe queue set, the routing thread creates a batch timer at step 428 fora random amount of time between the minimum and maximum intervalsdefined for the queue set. At step 430, the thread determines whetherthis timer has expired, and if it has the routing thread sends thecurrent batch at step 432, in row order, to the matching thread formatching and then increments the queue set serial number and allocates anew batch. If the message is not the first in the queue set, step 428 isbypassed and the process skips from step 426 to step 430.

At the matching thread of the arbitrator, not shown, when a batch ofmessages is being received, the thread cycles through all the rows, orqueues, repeatedly removing and processing one message from each queueon each pass until all the queues are empty. The matching threadcaptures the time each message was removed from the batch and appendsthis time in addition to the information attached by the routing threadto the message and writes the message into a log file. Thus, in theexample of FIG. 10, the first message from row 1 is read, followed bythe first message from row 2, then the first message from row 5 etc.After the final row, the process steps back to row 1 and reads out thesecond message in each row sequentially for these rows that haveremaining messages.

Once the process has completed, the next batch is initialised and thetimer started. The process is continuous.

Thus, embodiments of the invention batch incoming messages which arethen transferred to the matching thread of the arbitrator in a randommanner. This de-emphasises the need for highly sophisticated systems forensuring the fastest possible order submission from the trading floorsto the system and so increasing fairness of access by increasing thelikelihood that smaller participants will have their orders matched evenif they were submitted using less sophisticated systems than orderssubmitted by larger institutions.

Various modifications to the embodiments described are possible and willoccur to those skilled in the art without departing from the spirit andscope of the invention.

1. A computerised method for submission of orders to an electronictrading system for matching, comprising the steps of: receiving at aserver, from parties trading on the electronic trading system,electronic order messages for trading an instrument; initiating amessage batch having a defined duration; storing the received electronicorder messages in a storage device of the server, the orders beingstored in said storage device in an order unrelated to the order inwhich they were received at the electronic trading system; after expiryof the defined duration of the batch, submitting the stored ordermessages to a matching engine of the electronic trading system in theorder in which they are stored in the storage device.
 2. A methodaccording to claim 1, comprising, on receipt of an order message,determining the origin of the order message, determining whether anotherorder message from the same origin is stored in the storage device forthe batch and, if another such message is stored, queuing the messagebehind the earlier stored message, whereby on expiry of the batchduration, the earlier stored message from the same origin is sent formatching ahead of the later received message from the same origin.
 3. Amethod according to claim 2, wherein the origin of the message comprisesa group of related trading floors and the method comprises comparing theorigin of the earlier and later received messages to determine whetherthey are from the same group of trading floors.
 4. A method according toclaim 1, wherein the order in which the order messages are stored in thestorage device is randomised.
 5. A method according to claim 1, whereinthe duration of a batch is randomised within a predetermined maximum andminimum length.
 6. A method according to claim 1, wherein the electronictrading system trades a plurality of instruments and a message batchincludes order messages relating to the same instrument.
 7. A methodaccording to claim 6, wherein the step of initiating a message batchcomprises examining a received electronic order message to determine towhich instrument it relates and assigning the message to an appropriatebatch that relates to the determined instrument.
 8. A computerisedmethod for submission of orders to an electronic trading system formatching, comprising the steps of: initiating at a server computer abatch having a defined duration, the batch comprising a set of queues;receiving, at the server, from one or more parties trading on theelectronic trading system, electronic order messages for trading aninstrument; assigning each received message to a random queue within theset of queues; and at the end of the defined duration of the batch,transferring messages sequentially from each of the set of queues to amatching function of the electronic trading system.
 9. A methodaccording to claim 8, wherein the received order messages include anindication of the identity of the originating party, comprisingdetermining, at the server, the virtual floor code of the partysubmitting the received message, the virtual floor code being anidentity of a group of related parties trading on the system.
 10. Amethod according to claim 9, comprising comparing the virtual floor codeof the received message with the virtual floor codes of any messagesalready assigned to queues of the batch, and, if the virtual floor codesmatch, assigning the new message to the same queue as the earliermessage with the same virtual floor code.
 11. A method according toclaim 10, wherein the new message is assigned to the same queue as theearlier message having the same virtual floor code at a position behindthe earlier message such that the earlier message is sent to thematching function before the new message.
 12. A method according toclaim 8, wherein the step of assigning the received message to a randomqueue comprises selecting a random queue, determining whether that queuealready has a message assigned to it and, if it has, assigning themessage to the next empty queue.
 13. A method according to claim 12,wherein in the absence of any empty queues, the message is assigned tothe original randomly assigned queue.
 14. A method according to claim 8,comprising attaching message information to the message after it hasbeen assigned to a queue.
 15. A method according to claim 14, whereinthe message information includes at least one of batch number, messagetime of receipt, message number within the batch and assigned queuenumber.
 16. A method according to claim 8, wherein, if the message isthe first message received in a batch, initiating a timer having arandom duration between defined minimum and maximum durations, theduration being said defined duration of the batch.
 17. A methodaccording to claim 8, wherein said steps of receiving, initiating andstoring are performed by a routing thread of said server, the serverfurther having a matching thread for performing the submitting step, thematching thread cycling through the queues sequentially to remove andprocess messages from the queues one at a time.
 18. A method accordingto claim 17, wherein the matching thread adds the time at which amessage was removed from the batch to the message.
 19. A computerisedtrading system for matching orders submitted by trading parties, thesystem comprising an order entry system comprising: a server forreceiving from parties trading on the electronic trading system,electronic order messages for trading an instrument; the server beingconfigured to initiate a message batch having a defined duration; theserver comprising a storage area for storing the received electronicorder messages, the storage area storing the electronic order messagesin an order unrelated to the order in which they were received at theserver; the server being further configured to submit the stored ordermessages, after expiry of the defined duration, to a matching engineforming part of the electronic trading system, in the order in whichthey are stored in the storage device.
 20. A computerised trading systemaccording to claim 19, wherein the server is configured to determine theorigin of an order message on receipt of the message and to determinewhether another earlier order message from the same origin is stored inthe storage area for the batch, and, if another such message is stored,to queue the message behind the earlier stored message, whereby onexpiry of the batch duration, the earlier stored message from the sameorigin is submitted for matching ahead of the later order message.
 21. Acomputerised trading system according to claim 19, wherein the storagearea is divided into a plurality of message queues and the server isconfigured to assign a received message to one of the message queues.22. A computerised trading system according to claim 20, wherein theorigin of the message comprises a group of related trading floors andthe server is configured to compare the origin of the earlier and laterreceived messages to determine whether they are from the same group oftrading floors.
 23. A computerised trading system according to claim 19,wherein the server is configured to assign electronic order messages toa storage location in said storage area randomly.
 24. A computerisedtrading system according to claim 23, wherein the duration of a batch israndomised within a predetermined maximum and minimum length.
 25. Acomputerised trading system according to claim 19, wherein theelectronic trading system trades a plurality of instruments and amessage batch includes order messages relating to the same instrument.26. An electronic trading system according to claim 19, wherein theserver is configured to examine a received electronic order message todetermine the instrument to which it relates and, based on theexamination, to assign the message to an appropriate batch that relatesto the determined instrument.
 27. A computerised trading system forsubmission of orders to trade instruments for matching, the systemcomprising an order entry system including: a server computer configuredto initiate a batch having a defined duration, the batch comprising aplurality of queues and relating to an instrument of a plurality ofinstruments traded on the electronic trading system; the server beingconfigured to receive, from parties trading on the electronic tradingsystem, electronic order messages for trading the plurality ofinstruments; the server being configured to assign a received message tothe batch to which the instrument relates and to a random queue withinthe set of queues forming the assigned batch; and the server furtherbeing configured to transfer messages, at the end of the definedduration of the batch, sequentially from each queue of the set of queuesto a matching function of the electronic trading system.
 28. Acomputerised trading system according to claim 27, wherein receivedorder messages include an indication of the identity of the originatingparty, the server being further configured to determine a virtual floorcode of the party submitting a received message, the virtual floor codebeing an identity of a group of related parties trading on the system.29. A computerised trading system according to claim 28, wherein theserver is configured to compare the virtual floor code of a receivedmessage with the virtual floor codes of any messages already assigned toqueues of the batch and, if the virtual floor codes match, assigning thenew message to the same queue as the earlier message with the samevirtual floor code.
 30. A computerised trading system according to claim29, wherein the server is configured to assign the new message to thesame queue as the earlier message having the same virtual floor code ata position behind the earlier message such that the earlier message issent to the matching function before the new message.
 31. A computerisedtrading system according to claim 27, wherein the server is configuredto assign a received message to a random queue by selecting a randomqueue, determining whether that queue already has a message assigned toit and, if it has, assigning the message to the next empty queue.
 32. Acomputerised trading system according to claim 31, wherein the server isconfigured to assign a message to the original randomly assigned queuein the absence of any empty queues.
 33. A computerised trading systemaccording to claim 27, wherein the server is configured to attachmessage information to a message after it has been assigned to a queue.34. A computerised trading system according to claim 33, wherein themessage information includes at least one of batch number, message timerreceived, message number within the batch, and assigned queue number.35. A computerised trading system according to claim 27, wherein theserver is configured to initiate a timer if the received message is thefirst message received in a batch, the timer having a random durationbetween defined minimum and maximum durations, the duration being saidto find duration of the batch.
 36. A non-transitory tangible computerreadable medium comprising computer-executable instructions that, whenexecuted on a computerised trading system, cause the computerisedtrading system to perform the steps of: initiating at a server computerof the computerised trading system a batch having a defined duration,the batch comprising a set of queues; receiving, at the server computerfrom parties trading on the electronic trading system, electronic ordermessages for trading an instrument; assigning the received message to arandom queue within the set of queues; and at the end of the definedduration of the batch, transferring messages sequentially from each ofthe set of queues to a matching function of the electronic tradingsystem.
 37. A non-transitory tangible computer-readable medium accordingto claim 36, wherein the steps of receiving, initiating and storing areperformed by a routing thread of said server, the server further havinga matching thread for performing the submitting step, the matchingthread cycling through the queues sequentially to remove and processmessages from the queues one at a time.
 38. A non-transitory tangiblecomputer-readable medium according to claim 37, wherein the matchingthread adds the time at which a message was removed from the batch tothe message.
 39. A non-transitory tangible computer-readable mediumcomprising computer-executable instructions that when executed on anelectronic trading system perform the steps of: receiving at a server ofthe electronic trading system, from parties trading on the electronictrading system, electronic order messages for trading an instrument;initiating a message batch having a defined duration; storing thereceived electronic order messages in a storage device of the server,the orders being stored in said storage device in an order unrelated tothe order in which they were received at the electronic trading system;after expiry of the defined duration of the batch, submitting the storedorder messages to a matching engine of the electronic trading system inthe order in which they are stored in the storage device.